README.md

portopt

Mean-variance portfolio optimization.

Usage

from portopt import PortOpt


portfolio = PortOpt(assets='MutualFunds.csv')               # assets: filename of csv in assets directory

correlation = portfolio.correlation(startdate='2020-6-1', matrix_plot=True)
covariance  = portfolio.covariance(startdate='2020-6-1', matrix_plot=True)

portfolio_data, allocations = portfolio.optimize(
    n=1000, rf=0.0009, startdate='2020-6-1', ef_plot=True
)

ef_plot

Efficient frontier graph

portfolio_data

Return, volatility & sharpe of optimized portfolio

allocations

Asset allocations of optimized portfolio

matrix_plot

Plot heatmap for correlation or covariance matrix

correlation

Correlation matrix

covariance

Covariance matrix